Quantitative Analyst, VP

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Job Overview

Citigroup Global Markets Inc. seeks a Quantitative Analyst, VP for its New York, New York location.

Duties: Calculate itemized attribution of Risk Weighted Asset (RWA), G-SIB score, and return on Tangible Common Equity (TCE) for the Fixed Income Finance business. Develop tools and strategies to analyze and optimize these risk and performance metrics. Apply mathematical optimization methodologies to strategize balance sheet utilization, enhance liquidity, and reduce capital charges. Build auto pricing platform in Java for government security Repurchase Agreement (Repo) market RFQs. Design and develop automated system to perform pricing, market analysis, and risk management using Python, Java, SQL, KDB/Q, on Linux, Windows platforms, and distributed systems, for Fixed Income Finance business. Design and implement a full-stack system with Python and JavaScript to provide a customized, interactive front-end user interface for trading analytics requirements in the Fixed Income Finance business. Create, implement, and support quantitative models for the Fixed Income trading business, leveraging mathematical and computer science methods including mathematical finance, statistics, probability, and software engineering. Design database structures and write SQL and KDB queries for data manipulation and retrieval, including creating, updating, and optimizing database schemas, performing CRUD operations, and implementing stored procedures and functions to ensure efficient data processing and integrity. Engage in close collaboration with various stakeholders including Fixed Income Market Traders, Sales teams, Structurers, and technology professionals. Provide stakeholders with analytical support in order to develop and implement effective solutions, and coordinate the deployment and integration of new features. Work in close partnership with control functions such as Legal, Compliance, Market and Credit Risk, Audit, Finance to ensure appropriate governance and control infrastructure. A telecommuting/hybrid work schedule may be permitted within a commutable distance from the worksite, in accordance with Citi policies and protocols.

Requirements: Requires a Master’s degree, or foreign equivalent in Financial Engineering, Financial Mathematics, or related quantitative field and 4 years of experience as a Quantitative Analyst, Fixed Income Finance Quantitative Analyst, Quantitative Analysis Program Analyst or related position performing quantitative statistical modeling and data analysis for Calculating Risk Weighted Asset and Global Systemically Important Bank score. 4 years of experience must include: Calculating return on Tangible Common Equity for the Fixed Income Finance business; Applying statistical methods including linear programing and time series analysis to build mathematical optimizers and predictive models; Convex Optimization, Monte-Carlo methods, Bayesian estimation, Stochastic modeling, Local Volatility model and its variations; Developing multi-asset derivative pricing model, risk assessment, and portfolio optimization using stochastic modeling, Monte Carlo techniques and linear programing optimization methods; Developing algorithmic trading system for fixed income securities; Capital charges and margin posting optimization; Python and Java Script to code on Windows and Linux systems; Full stack software development of scalable, modular and robust solutions using parallel and distributed computing with object-oriented principals in Python and JavaScript; Developing front-end UI in Javascript and API in Python; Quantitative model validation involving model risk assessment, performance testing, and stability / stress testing; Writing SQL and KDB/Q queries for customized data retrieval with performance optimization techniques; and Python, C++, JavaScript, Q language in KDB+ database. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID #25895538. EO Employer.

Wage Range:                $225,000 to $250,000

Job Family Group:         Institutional Training

Job Family:                   Quantitative Analysis

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Job Family Group:

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Job Family:

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Time Type:

Full time

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Primary Location:

New York New York United States

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Primary Location Full Time Salary Range:

In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Most Relevant Skills

Please see the requirements listed above.

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Other Relevant Skills

For complementary skills, please see above and/or contact the recruiter.

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Anticipated Posting Close Date:

Nov 07, 2025

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